Determining the lag order

[owen57]

Good morning everyone.

When it comes to determining the lag order of a time series, the most common method is to calculate different information criteria and take the minimum value, sometimes we can also check the R squared value, however doing that i obtain a different lag order than the one calculated automatically by Eviews, so i would like to know if possible about the approach used by the program.

Thank you.

[EViews Gareth]

Depends on the procedure. But generally it is IC based.

[owen57]

Thank you.